| A Modification of Kalman's Filter |
| Received:March 23, 1981 |
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| Abstract: |
| At the filter formula of the kalman recursive algorithm, optimal weight Ak is the important factor. We choose this factor that may minimize the error covarience, but calculate Ak to be rather complex.In this paper, we use optimal weight Bk in sense of minimizing the Frobenious norm with constraint that the weight update must satisfy the quasi-Newton linear equation at instant time. We also calculate the correspond. optimal error covariance estimate Pk by means of minimizing the Frobenious norm with constraint that Pk satisfies the linear relation with Pk/k-1. From above results, we can compare the Pk to the Pk/k if the incomp1ete observe equation is linear with added white noise. We can find that Ricatti equation of error covarience has the important role at the linear filter whatever we use Ak or BK as the optimal weight. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.1982.02.019 |
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